Empirical likelihood for LAD estimators in infinite variance ARMA models

DOI10.1016/J.SPL.2010.11.010zbMath1205.62133OpenAlexW2067848749MaRDI QIDQ625001

Wei Liang, Shu-yuan He, Jin-yu Li

Publication date: 11 February 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.11.010

zbMATH Keywords

infinite varianceempirical likelihoodARMA modelLAD estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Related Items (3)

Self-weighted generalized empirical likelihood methods for hypothesis testing in infinite variance ARMA models ⋮ Asymptotics of the weighted least squares estimation for AR(1) processes with applications to confidence intervals ⋮ Empirical likelihood for partial parameters in ARMA models with infinite variance

Uses Software

• KernSmooth

Cites Work

• Empirical likelihood ratio confidence regions
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood confidence regions in time series models
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